[Finwe]

We also have to remember that the duty of the Elves was very different from the so-called duty of Men. It was a kind of chain reaction, that was started by Iluvatar himself.

If you take a look at the Silmarillion, in the Creation, it says that Iluvatar created the Ainur, and then created Arda, and told them that they could go into it to prepare it for the coming of the Children of Iluvatar, the Eldar and the Atani, or Elves and Men. The Ainur who entered Arda became known as the Valar and, later, the Maiar followed. Their function was to make Arda habitable for the forthcoming Children of Iluvatar, not to live in it themselves. As time progressed, they ended up accomplishing that, even though Morgoth tried to circumvent that purpose.

Once the Elves had awakened, the job of the Valar, in a sense, had passed on to them. It was now their turn to "keep" Beleriand and Middle-earth for the coming of the Atani/Edain/Men, and that was what they did. Now at first glance, it seems like in fighting Morgoth, they were trying to create a stable environment for themselves and their families, and that is true. Yet, there was a deeper purpose in fighting and trying to conquer Morgoth. They had to make Beleriand/Middle-earth safe for the Edain, even after the latter awoke.

Once the Second Age started, and Morgoth had been thrust out into the Void, the Elves had no real function any more, because everyone believed that evil had been vanquished. That, I believe, is the reason for the "Great Migration" of many of the Beleriandic Elves to Valinor. They thought they weren't needed any more. Now some, such as Cirdan and Ereinion Gil-galad remained behind, out of their love for Middle-earth, but they were the exceptions.

In the Second and the Third Ages, the Elves kept preserving what they knew as good and safe for the Edain, still thinking that they were needed. Now, I am going to be slightly harsh in saying that they weren't really needed any more, or at least not as much as they had been needed by the Men in the First Age. That "need" slowly decreased as time went on, and that, I believe, is why greater numbers of Elves left the shores of Middle-earth.

In the end, what made the existence of Elven kingdoms such as Rivendell and Lothlorien all the more poignant was that they were the remnants of a lingering people, who would soon not be needed any more, and would almost completely disappear from Middle-earth. The disappearance of that beauty was what made the loss of the Elves all the more poignant. Naturally, they wanted to stay in Middle-earth, and thus, tried to preserve it in safety and harmony as much as they could.